Related papers: Maximum likelihood estimator consistency for recur…

We describe Monte Carlo approximation to the maximum likelihood estimator in models with intractable norming constants and explanatory variables. We consider both sources of randomness (due to the initial sample and to Monte Carlo…

We study nearest neighbor random walks on fixed environments of $\mathbb{Z}$ composed of two point types : $(1/2,1/2)$ and $(p,1-p)$ for $p>1/2$. We show that for every environment with density of $p$ drifts bounded by $\lambda$ we have…

We study the problem of parameter estimation using maximum likelihood for fast/slow systems of stochastic differential equations. Our aim is to shed light on the problem of model/data mismatch at small scales. We consider two classes of…

We consider maximum likelihood estimation with data from a bivariate Gaussian process with a separable exponential covariance model under fixed domain asymptotic. We first characterize the equivalence of Gaussian measures under this model.…

We consider a discrete time random walk in one dimension. At each time step the walker jumps by a random distance, independent from step to step, drawn from an arbitrary symmetric density function. We show that the expected positive maximum…

We study one-dimensional nearest neighbour random walk in site-random environment. We establish precise (sharp) large deviations in the so-called ballistic regime, when the random walk drifts to the right with linear speed. In the…

This paper considers maximum likelihood (ML) estimation in a large class of models with hidden Markov regimes. We investigate consistency of the ML estimator and local asymptotic normality for the models under general conditions which allow…

Parameter estimation via unbinned maximum likelihood fits is central for many analyses performed in high energy physics. Unbinned maximum likelihood fits using event weights, for example to statistically subtract background contributions…

We consider a one-dimensional continuous time random walk with transition rates depending on an underlying autonomous simple symmetric exclusion process starting out of equilibrium. This model represents an example of a random walk in a…

Loss tomography has been studied for more than 10 years and a number of estimators have been proposed. The estimators can be divided into two classes: maximum likelihood and non-maximum likelihood. The maximum likelihood estimators rely on…

Maximum likelihood estimation is effective for identifying dynamical systems, but applying it to large networks becomes computationally prohibitive. This paper introduces a maximum likelihood estimation method that enables identification of…

The method of extended maximum likelihood is a well known concept of parameter estimation. One can implement external knowledge on the unknown parameters by multiplying the likelihood by constraint terms. In this note, we emphasize that…

Mixture models are regularly used in density estimation applications, but the problem of estimating the mixing distribution remains a challenge. Nonparametric maximum likelihood produce estimates of the mixing distribution that are…

We study maximum-likelihood-type estimation for diffusion processes when the coefficients are nonrandom and observation occurs in nonsynchronous manner. The problem of nonsynchronous observations is important when we consider the analysis…

Consider the invariance principle for a random walk with random environment (denoted by $\mu$) in time on $\bfR$ in a weak quenched sense. We show that a sequence of the random probability measures on $\bfR$ generated by a bounded Lipschitz…

In this paper, we study the maximum likelihood estimation of the parameters of the multivariate and matrix variate symmetric Laplace distributions through group actions. The multivariate and matrix variate symmetric Laplace distributions…

Consider a branching random walk on the real line with a random environment in time (BRWRE). A necessary and sufficient condition for the non-triviality of the limit of the derivative martingale is formulated. To this end, we investigate…

This work extends Roberts et al. (1997) by considering limits of Random Walk Metropolis (RWM) applied to block IID target distributions, with corresponding block-independent proposals. The extension verifies the robustness of the optimal…

We focus on recurrent random walks in random environment (RWRE) on Galton-Watson trees. The range of these walks, that is the number of sites visited at some fixed time, has been studied in three different papers [AC18], [AdR17] and [dR16].…

Consider a discrete-time one-dimensional supercritical branching random walk. We study the probability that there exists an infinite ray in the branching random walk that always lies above the line of slope $\gamma-\epsilon$, where $\gamma$…